Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0005 |
| Annualized Std Dev | 0.1421 |
| Annualized Sharpe (Rf=0%) | -0.0035 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4440.0000 |
| NAs | 1.0000 |
| Minimum | -0.0837 |
| Quartile 1 | -0.0034 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0037 |
| Maximum | 0.1586 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0089 |
| Skewness | 1.5540 |
| Kurtosis | 47.8540 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0062 |
| Gain Deviation | 0.0073 |
| Loss Deviation | 0.0072 |
| Downside Deviation (MAR=210%) | 0.0114 |
| Downside Deviation (Rf=0%) | 0.0062 |
| Downside Deviation (0%) | 0.0062 |
| Maximum Drawdown | 0.4594 |
| Historical VaR (95%) | -0.0117 |
| Historical ES (95%) | -0.0208 |
| Modified VaR (95%) | -0.0017 |
| Modified ES (95%) | -0.0017 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-01-10 | 2008-10-10 | 2010-08-12 | -0.4594 | 905 | 443 | 462 |
| 2012-12-03 | 2020-03-18 | NA | -0.3352 | 2089 | 1835 | NA |
| 2010-08-13 | 2011-01-14 | 2012-01-27 | -0.2002 | 368 | 108 | 260 |
| 2003-09-11 | 2004-06-29 | 2006-11-30 | -0.1776 | 813 | 201 | 612 |
| 2012-03-13 | 2012-03-16 | 2012-05-10 | -0.0905 | 42 | 4 | 38 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2003 | NA | NA | NA | NA | NA | NA | 0 | 0.1 | 1.3 | 0.2 | 1.4 | 0.1 | 3.1 |
| 2004 | 0.9 | -0.4 | 0.3 | 1.8 | 0.5 | 0.9 | 1.5 | -0.3 | -0.4 | 0.1 | 0.1 | 0.2 | 5.3 |
| 2005 | 0 | -0.4 | 0.7 | -0.2 | 0.1 | -0.9 | 0.6 | 0.9 | 0.9 | 0.2 | 0.1 | 0.5 | 2.5 |
| 2006 | -0.1 | 0.4 | -0.1 | 0.1 | 0.6 | 0.9 | -0.2 | 0 | 0.1 | 0.1 | -0.1 | 0.6 | 2.2 |
| 2007 | 0 | -0.1 | -0.2 | 0.1 | 0.2 | 1.1 | -1.1 | -0.7 | 0.6 | -0.9 | 0.5 | 0.2 | -0.2 |
| 2008 | 0.7 | -0.2 | 1 | 0.1 | -0.1 | 0 | -0.2 | 0.2 | 0.3 | 0.3 | -1.3 | -0.7 | 0 |
| 2009 | -3.1 | 1.2 | 1.2 | 0.4 | 0.8 | 0.1 | 0.3 | 0.2 | 0.7 | -0.6 | 0.5 | -0.2 | 1.4 |
| 2010 | 0.1 | 0.7 | -0.5 | 0.3 | -0.1 | -0.1 | 1.4 | 0.1 | 0.4 | -0.5 | -1.4 | 1.6 | 2.1 |
| 2011 | 0.4 | 0.5 | -0.3 | 0.7 | -0.4 | 0.4 | 1.9 | -0.6 | 0.6 | 0.8 | -0.4 | -0.2 | 3.6 |
| 2012 | 0.1 | 0.4 | 0.3 | 0.4 | -0.5 | 0.2 | -1.3 | 0.3 | 0.2 | -0.5 | 0.6 | 0.1 | 0.3 |
| 2013 | 0.1 | 0.4 | -0.7 | -0.1 | -1 | 0.8 | -0.9 | 0.1 | -0.8 | -1.3 | 0 | -0.7 | -4.2 |
| 2014 | 0.4 | -0.1 | -0.6 | 0.2 | -0.2 | 0.2 | 0.3 | 0.3 | 0.1 | 0.1 | 0.1 | 0.1 | 0.9 |
| 2015 | 0.7 | 0.7 | -0.1 | -1 | 0.3 | 0.3 | 0.8 | 0.4 | -0.3 | -0.2 | 0.4 | 0 | 2 |
| 2016 | 0.3 | 0.1 | 0.3 | 0.7 | 0.1 | 0.3 | 0.5 | -0.8 | 0 | -0.3 | 0.2 | 0 | 1.4 |
| 2017 | 0.6 | -0.6 | 0.4 | 0.1 | 0.1 | 0.1 | 0.1 | -0.3 | -0.4 | 0.1 | -0.2 | 0.5 | 0.7 |
| 2018 | -0.2 | -0.2 | 0.2 | 0.1 | 0.2 | 0 | 0.3 | -0.4 | -1.4 | -0.2 | 0.6 | 0.2 | -0.9 |
| 2019 | -0.2 | 0.4 | -0.1 | 0.4 | 0.4 | -0.1 | 0.6 | 0.5 | 0.2 | -0.5 | 0.1 | 0.2 | 1.8 |
| 2020 | 0.2 | -1.6 | -1.6 | 0.9 | 0.9 | -0.4 | 0.6 | -0.2 | 1.5 | 0 | 0.7 | 0.6 | 1.4 |
| 2021 | 0.3 | -0.3 | 0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.2 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
